Pages that link to "Item:Q3445890"
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The following pages link to Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching (Q3445890):
Displaying 50 items.
- Saddlepoint approximations to option price in a regime-switching model (Q300691) (← links)
- Variance-optimal hedging for target volatility options (Q380555) (← links)
- Option pricing and hedging in incomplete market driven by normal tempered stable process with stochastic volatility (Q465438) (← links)
- Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model (Q475659) (← links)
- Mortality modelling with regime-switching for the valuation of a guaranteed annuity option (Q492634) (← links)
- A superconvergent partial differential equation approach to price variance swaps under regime switching models (Q507897) (← links)
- Mixture dynamics and regime switching diffusions with application to option pricing (Q539521) (← links)
- Utility-based indifference pricing in regime-switching models (Q640157) (← links)
- Pricing variance swaps under stochastic volatility and stochastic interest rate (Q671068) (← links)
- Optimal investment in multidimensional Markov-modulated affine models (Q902185) (← links)
- Pricing forward-start variance swaps with stochastic volatility (Q902796) (← links)
- A game theoretic approach to option valuation under Markovian regime-switching models (Q931215) (← links)
- Optimal portfolios with regime switching and value-at-risk constraint (Q976262) (← links)
- How should a local regime-switching model be calibrated? (Q1655569) (← links)
- Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching (Q1739344) (← links)
- Optimal dividend distribution under Markov regime switching (Q1761453) (← links)
- Pricing volatility derivatives under the modified constant elasticity of variance model (Q1785394) (← links)
- Volatility swaps and volatility options on discretely sampled realized variance (Q1991924) (← links)
- A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model (Q1998282) (← links)
- Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion (Q2020534) (← links)
- Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm (Q2095684) (← links)
- A deposit insurance pricing with a multi-state regime-switching volatility (Q2114499) (← links)
- A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model (Q2131630) (← links)
- A new integral equation approach for pricing American-style barrier options with rebates (Q2199770) (← links)
- A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate (Q2202993) (← links)
- Pricing variance swaps under hybrid CEV and stochastic volatility (Q2222171) (← links)
- On the valuation of variance swaps with stochastic volatility (Q2250184) (← links)
- Regime switching affine processes with applications to finance (Q2308173) (← links)
- What is beneath the surface? Option pricing with multifrequency latent states (Q2347726) (← links)
- Analytically pricing volatility swaps under stochastic volatility (Q2351082) (← links)
- Optimal insurance in a changing economy (Q2438339) (← links)
- Optimal stochastic investment games under Markov regime switching market (Q2438402) (← links)
- Variance swap pricing under Markov-modulated jump-diffusion model (Q2657462) (← links)
- EXACT PRICING WITH STOCHASTIC VOLATILITY AND JUMPS (Q2786345) (← links)
- PRICING CREDIT DERIVATIVES IN A MARKOV-MODULATED REDUCED-FORM MODEL (Q2842530) (← links)
- STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS (Q2847239) (← links)
- A risk-based approach for pricing American options under a generalized Markov regime-switching model (Q2866377) (← links)
- Pricing Defaultable Bonds in a Markov Modulated Market (Q2893288) (← links)
- A CLOSED-FORM PRICING FORMULA FOR VARIANCE SWAPS WITH MEAN-REVERTING GAUSSIAN VOLATILITY (Q2925697) (← links)
- PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING (Q2947343) (← links)
- A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY (Q3084598) (← links)
- FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS (Q3166714) (← links)
- Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes (Q3176516) (← links)
- Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model (Q3592749) (← links)
- HARA utility maximization in a Markov-switching bond–stock market (Q4555174) (← links)
- Regime-switching stochastic volatility model: estimation and calibration to VIX options (Q4610208) (← links)
- PRICING JOINT CLAIMS ON AN ASSET AND ITS REALIZED VARIANCE IN STOCHASTIC VOLATILITY MODELS (Q4916242) (← links)
- A regime-switching Heston model for VIX and S&P 500 implied volatilities (Q5247236) (← links)
- AN ANALYTICAL APPROACH FOR VARIANCE SWAPS WITH AN ORNSTEIN–UHLENBECK PROCESS (Q5370813) (← links)
- EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE (Q5384679) (← links)
